| Publication | Date of Publication | Type |
|---|
Signature-based validation of real-world economic scenarios
(available as arXiv preprint) | N/A | Paper |
Central limit theorem for the stratified resampling mechanism
ALEA. Latin American Journal of Probability and Mathematical Statistics | 2026-09-15 | Paper |
The implied volatility surface (also) is path-dependent
Quantitative Finance | 2026-09-14 | Paper |
On the weak error for local stochastic volatility models
SIAM Journal on Financial Mathematics | 2026-09-01 | Paper |
Wasserstein projections in the convex order: regularity and characterization in the quadratic Gaussian case
Electronic Journal of Probability | 2026-04-20 | Paper |
Existence, uniqueness and positivity of solutions to the Guyon-Lekeufack path-dependent volatility model with general kernels
International Journal of Theoretical and Applied Finance | 2026-02-23 | Paper |
Central limit theorem over non-linear functionals of empirical measures: beyond the iid setting
Annales de l'Institut Henri Poincaré. Probabilités et Statistiques | 2025-11-21 | Paper |
Convex comparison of Gaussian mixtures
Journal of Multivariate Analysis | 2025-08-06 | Paper |
Non-decreasing martingale couplings
European Series in Applied and Industrial Mathematics (ESAIM): Probability and Statistics | 2025-01-23 | Paper |
Convex ordering for stochastic Volterra equations and their Euler schemes
Finance and Stochastics | 2025-01-09 | Paper |
Convergence to the uniform distribution of vectors of partial sums modulo one with a common factor
Journal of Theoretical Probability | 2024-11-05 | Paper |
Maximal martingale Wasserstein inequality
Electronic Communications in Probability | 2024-09-03 | Paper |
Signature-based validation of real-world economic scenarios
ASTIN Bulletin | 2024-06-17 | Paper |
Convergence rate of the Euler-Maruyama scheme applied to diffusion processes with \(L^q - L^{\rho}\) drift coefficient and additive noise
The Annals of Applied Probability | 2024-04-10 | Paper |
Stability of the weak martingale optimal transport problem
The Annals of Applied Probability | 2024-01-19 | Paper |
| Convex ordering of solutions to one-dimensional SDEs | 2023-12-15 | Paper |
| Maximal Martingale Wasserstein Inequality | 2023-10-12 | Paper |
One Dimensional Martingale Rearrangement Couplings
ESAIM: Probability and Statistics | 2023-08-21 | Paper |
| Central limit theorem for the stratified resampling mechanism | 2023-08-04 | Paper |
| Convergence to the uniform distribution of vectors of partial sums modulo one with a common factor | 2023-08-03 | Paper |
Lipschitz continuity of the Wasserstein projections in the convex order on the line
Electronic Communications in Probability | 2023-08-02 | Paper |
| Non-decreasing martingale couplings | 2023-04-30 | Paper |
| An extension of martingale transport and stability in robust finance | 2023-04-19 | Paper |
Weak and strong error analysis for mean-field rank-based particle approximations of one-dimensional viscous scalar conservation laws
The Annals of Applied Probability | 2022-12-20 | Paper |
Convex order, quantization and monotone approximations of ARCH models
Journal of Theoretical Probability | 2022-11-21 | Paper |
| Convex ordering for stochastic Volterra equations and their Euler schemes | 2022-11-18 | Paper |
Strong solutions to a beta-Wishart particle system
Journal of Theoretical Probability | 2022-09-29 | Paper |
Convergence in total variation of the Euler-Maruyama scheme applied to diffusion processes with measurable drift coefficient and additive noise
SIAM Journal on Numerical Analysis | 2022-07-29 | Paper |
Approximation of martingale couplings on the line in the adapted weak topology
Zeitschrift für Wahrscheinlichkeitstheorie und Verwandte Gebiete | 2022-05-20 | Paper |
Martingale Wasserstein inequality for probability measures in the convex order
Bernoulli | 2022-05-16 | Paper |
Martingale Wasserstein inequality for probability measures in the convex order
Bernoulli | 2022-05-16 | Paper |
| Central limit theorem over non-linear functionals of empirical measures: beyond the iid setting | 2022-04-13 | Paper |
Central limit theorem over non-linear functionals of empirical measures with applications to the mean-field fluctuation of interacting diffusions
Electronic Journal of Probability | 2022-02-22 | Paper |
Quantization and martingale couplings
(available as arXiv preprint) | 2022-02-08 | Paper |
| Quantization and martingale couplings | 2022-02-08 | Paper |
Approximation rate in Wasserstein distance of probability measures on the real line by deterministic empirical measures
Journal of Approximation Theory | 2022-01-31 | Paper |
Convergence of metadynamics: discussion of the adiabatic hypothesis
The Annals of Applied Probability | 2021-11-04 | Paper |
Convergence of metadynamics: discussion of the adiabatic hypothesis
The Annals of Applied Probability | 2021-11-04 | Paper |
Optimal dual quantizers of \(1 D\log \)-concave distributions: uniqueness and Lloyd like algorithm
Journal of Approximation Theory | 2021-06-30 | Paper |
A new family of one dimensional martingale couplings
Electronic Journal of Probability | 2021-05-04 | Paper |
A new family of one dimensional martingale couplings
Electronic Journal of Probability | 2021-05-04 | Paper |
Sampling of probability measures in the convex order by Wasserstein projection
Annales de l'Institut Henri Poincaré. Probabilités et Statistiques | 2021-02-15 | Paper |
Sampling of probability measures in the convex order by Wasserstein projection
Annales de l'Institut Henri Poincaré. Probabilités et Statistiques | 2021-02-15 | Paper |
Squared quadratic Wasserstein distance: optimal couplings and Lions differentiability
ESAIM: Probability and Statistics | 2020-12-15 | Paper |
Martingale Wasserstein inequality for probability measures in the convex order
(available as arXiv preprint) | 2020-11-23 | Paper |
Existence of a calibrated regime switching local volatility model
Mathematical Finance | 2020-05-14 | Paper |
Strong solutions to a beta-Wishart particle system
(available as arXiv preprint) | 2020-03-19 | Paper |
| scientific article; zbMATH DE number 7125364 (Why is no real title available?) | 2019-11-01 | Paper |
Weak and strong error analysis for mean-field rank based particle approximations of one dimensional viscous scalar conservation law
(available as arXiv preprint) | 2019-10-24 | Paper |
Convex order, quantization and monotone approximations of ARCH models
(available as arXiv preprint) | 2019-10-02 | Paper |
Bias behaviour and antithetic sampling in mean-field particle approximations of SDEs nonlinear in the sense of McKean
ESAIM: Proceedings and Surveys | 2019-07-11 | Paper |
A probabilistic particle approximation of the ``Paveri-Fontana'' kinetic model of traffic flow
The SMAI journal of computational mathematics | 2019-07-03 | Paper |
Sampling of one-dimensional probability measures in the convex order and computation of robust option price bounds
International Journal of Theoretical and Applied Finance | 2019-05-21 | Paper |
Non-asymptotic error bounds for the multilevel Monte Carlo Euler method applied to SDEs with constant diffusion coefficient
Electronic Journal of Probability | 2019-05-16 | Paper |
Non-asymptotic error bounds for the multilevel Monte Carlo Euler method applied to SDEs with constant diffusion coefficient
Electronic Journal of Probability | 2019-05-16 | Paper |
Computation of sensitivities for the invariant measure of a parameter dependent diffusion
Stochastic and Partial Differential Equations. Analysis and Computations | 2018-11-07 | Paper |
Convergence and efficiency of adaptive importance sampling techniques with partial biasing
Journal of Statistical Physics | 2018-06-08 | Paper |
Evolution of the Wasserstein distance between the marginals of two Markov processes
Bernoulli | 2018-03-27 | Paper |
Evolution of the Wasserstein distance between the marginals of two Markov processes
Bernoulli | 2018-03-27 | Paper |
Ninomiya-Victoir scheme : Multilevel Monte Carlo estimators and discretization of the involved Ordinary Differential Equations
ESAIM: Proceedings and Surveys | 2018-03-07 | Paper |
Stochastic particle approximation of the Keller-Segel equation and two-dimensional generalization of Bessel processes
The Annals of Applied Probability | 2018-01-04 | Paper |
Stochastic particle approximation of the Keller-Segel equation and two-dimensional generalization of Bessel processes
The Annals of Applied Probability | 2018-01-04 | Paper |
Self-healing umbrella sampling: convergence and efficiency
Statistics and Computing | 2017-03-23 | Paper |
A multitype sticky particle construction of Wasserstein stable semigroups solving one-dimensional diagonal hyperbolic systems with large monotonic data
Journal of Hyperbolic Differential Equations | 2016-11-04 | Paper |
Optimal convergence rate of the multitype sticky particle approximation of one-dimensional diagonal hyperbolic systems with monotonic initial data
Discrete and Continuous Dynamical Systems | 2016-10-14 | Paper |
Reducing the debt: is it optimal to outsource an investment?
Mathematics and Financial Economics | 2016-09-30 | Paper |
Ninomiya-Victoir scheme: strong convergence, antithetic version and application to multilevel estimators
Monte Carlo Methods and Applications | 2016-09-06 | Paper |
| scientific article; zbMATH DE number 6617423 (Why is no real title available?) | 2016-08-16 | Paper |
| Asymptotic error distribution for the Ninomiya-Victoir scheme in the commutative case | 2016-05-26 | Paper |
A trajectorial interpretation of the dissipations of entropy and Fisher information for stochastic differential equations
The Annals of Probability | 2016-04-21 | Paper |
A trajectorial interpretation of the dissipations of entropy and Fisher information for stochastic differential equations
The Annals of Probability | 2016-04-21 | Paper |
| Asymptotics for the normalized error of the Ninomiya-Victoir scheme | 2016-01-20 | Paper |
| scientific article; zbMATH DE number 6522563 (Why is no real title available?) | 2015-12-18 | Paper |
On two numerical problems in applied probability : discretization of Stochastic Differential Equations and optimization of an expectation depending on a parameter
ESAIM: Proceedings | 2015-11-17 | Paper |
Optimal transport bounds between the time-marginals of a multidimensional diffusion and its Euler scheme
Electronic Journal of Probability | 2015-08-07 | Paper |
Optimal scaling for the transient phase of the random walk Metropolis algorithm: the mean-field limit
The Annals of Applied Probability | 2015-07-27 | Paper |
Optimal scaling for the transient phase of the random walk Metropolis algorithm: the mean-field limit
The Annals of Applied Probability | 2015-07-27 | Paper |
Convergence of the Wang-Landau algorithm
Mathematics of Computation | 2015-07-20 | Paper |
Capital distribution and portfolio performance in the mean-field Atlas model
Annals of Finance | 2015-06-26 | Paper |
On the long time behavior of stochastic vortices systems
(available as arXiv preprint) | 2015-05-21 | Paper |
Optimal scaling for the transient phase of Metropolis Hastings algorithms: the longtime behavior
Bernoulli | 2014-11-11 | Paper |
Optimal scaling for the transient phase of Metropolis Hastings algorithms: the longtime behavior
Bernoulli | 2014-11-11 | Paper |
Efficiency of the Wang-Landau algorithm: a simple test case
AMRX. Applied Mathematics Research eXpress | 2014-11-05 | Paper |
Pathwise optimal transport bounds between a one-dimensional diffusion and its Euler scheme
The Annals of Applied Probability | 2014-06-13 | Paper |
Pathwise optimal transport bounds between a one-dimensional diffusion and its Euler scheme
The Annals of Applied Probability | 2014-06-13 | Paper |
Optimal transport bounds between the time-marginals of a multidimensional diffusion and its Euler scheme
(available as arXiv preprint) | 2014-05-27 | Paper |
The small noise limit of order-based diffusion processes
Electronic Journal of Probability | 2014-05-02 | Paper |
A remark on the optimal transport between two probability measures sharing the same copula
Statistics & Probability Letters | 2014-04-09 | Paper |
Efficient second-order weak scheme for stochastic volatility models
Seminar on Stochastic Analysis, Random Fields and Applications VII | 2014-02-19 | Paper |
Coupling index and stocks
Quantitative Finance | 2014-01-17 | Paper |
Propagation of chaos for rank-based interacting diffusions and long time behaviour of a scalar quasilinear parabolic equation
Stochastic and Partial Differential Equations. Analysis and Computations | 2013-11-20 | Paper |
Equivalence of the Poincaré inequality with a transport-chi-square inequality in dimension one
Electronic Communications in Probability | 2012-10-23 | Paper |
Lévy flights in evolutionary ecology
Journal of Mathematical Biology | 2012-10-22 | Paper |
A review of recent results on approximation of solutions of stochastic differential equations
Stochastic Analysis with Financial Applications | 2012-09-07 | Paper |
Regularity of the American put option in the Black-Scholes model with general discrete dividends
Stochastic Processes and their Applications | 2012-08-14 | Paper |
Regularity of the exercise boundary for American put options on assets with discrete dividends
SIAM Journal on Financial Mathematics | 2012-04-19 | Paper |
On adaptive stratification
Annals of Operations Research | 2012-03-08 | Paper |
Convenient multiple directions of stratification
International Journal of Theoretical and Applied Finance | 2011-11-22 | Paper |
Convergence of a stochastic particle approximation for fractional scalar conservation laws
Stochastic Processes and their Applications | 2011-06-15 | Paper |
General duality for perpetual American options
International Journal of Theoretical and Applied Finance | 2011-04-27 | Paper |
Adaptive optimal allocation in stratified sampling methods
Methodology and Computing in Applied Probability | 2010-10-14 | Paper |
Existence, uniqueness and convergence of a particle approximation for the adaptive biasing force process
ESAIM: Mathematical Modelling and Numerical Analysis | 2010-10-12 | Paper |
Existence, uniqueness and convergence of a particle approximation for the adaptive biasing force process
ESAIM: Mathematical Modelling and Numerical Analysis | 2010-10-12 | Paper |
Erratum. Exact retrospective Monte Carlo computation of arithmetic average Asian options
Monte Carlo Methods and Applications | 2010-08-13 | Paper |
Robust adaptive importance sampling for normal random vectors
The Annals of Applied Probability | 2010-07-13 | Paper |
Does waste recycling really improve the multi-proposal Metropolis-Hastings algorithm? An analysis based on control variates
Journal of Applied Probability | 2010-02-02 | Paper |
| Adaptive variance reduction techniques in finance | 2010-01-13 | Paper |
Exact volatility calibration based on a Dupire-type call-put duality for perpetual American options
NoDEA. Nonlinear Differential Equations and Applications | 2009-09-18 | Paper |
| High order discretization schemes for stochastic volatility models | 2009-08-13 | Paper |
Nonlinear SDEs driven by L\'evy processes and related PDEs
(available as arXiv preprint) | 2009-04-27 | Paper |
Propagation of chaos and Poincaré inequalities for a system of particles interacting through their CDF
The Annals of Applied Probability | 2008-11-27 | Paper |
A moments and strike matching binomial algorithm for pricing American put options
Decisions in Economics and Finance | 2008-09-04 | Paper |
Diffusion Monte Carlo method: Numerical Analysis in a Simple Case
ESAIM: Mathematical Modelling and Numerical Analysis | 2008-03-20 | Paper |
Diffusion Monte Carlo method: Numerical Analysis in a Simple Case
ESAIM: Mathematical Modelling and Numerical Analysis | 2008-03-20 | Paper |
Diffusion Monte Carlo method: Numerical Analysis in a Simple Case
ESAIM: Mathematical Modelling and Numerical Analysis | 2008-03-20 | Paper |
